| Publication | Date of Publication | Type |
|---|
Numerical methods for computing risk measures of variable annuities under exponential Lévy models
Insurance Mathematics & Economics | 2025-11-25 | Paper |
Enhancing valuation of variable annuities in Lévy models with stochastic interest rate
Scandinavian Actuarial Journal | 2025-04-11 | Paper |
Modelling and analysis of train-track-subgrade-soil dynamic interaction subjected to the interfacial damage of slab induced by uneven settlement
Applied Mathematical Modelling | 2025-03-17 | Paper |
Conditional moment matching for pricing arithmetic Asian options under Vasicek interest rate model
Chinese Journal of Applied Probability and Statistics | 2024-10-08 | Paper |
Conditional moment matching and stratified approximation for pricing and hedging periodic-premium variable annuities
Methodology and Computing in Applied Probability | 2024-06-04 | Paper |
Self-normalized Cramér-type moderate deviations for explosive Vasicek model
Journal of Theoretical Probability | 2024-04-02 | Paper |
Existence and uniqueness for some equation of a mixed elliptic-hyperbolic type
Boundary Value Problems | 2022-12-19 | Paper |
Modeling droplet collision dynamic for Lagrangian simulation of impinging spray under high ambient pressures using an improved approach
Computers and Fluids | 2022-10-17 | Paper |
Global existence and blow up of solutions for the Cauchy problem of some nonlinear wave equations
Analysis and Mathematical Physics | 2022-01-05 | Paper |
Incomplete market demand tests for Kreps-Porteus-Selden preferences
Journal of Economic Theory | 2020-01-20 | Paper |
Pricing Ratchet Equity-Indexed Annuities with Early Surrender Risk in a CIR++ Model
North American Actuarial Journal | 2019-05-15 | Paper |
Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
ASTIN Bulletin | 2018-06-05 | Paper |
Risk neutrality regions
Journal of Mathematical Economics | 2015-12-28 | Paper |
| A semismooth projected Newton method for solving stochastic linear complementarity problems | 2015-10-28 | Paper |
| Decay of solutions for a system of nonlinear wave equations | 2014-04-14 | Paper |
| Duration of negative surplus for compound Poisson risk model with constant interest force | 2011-02-05 | Paper |
| The asymptotics of finite time ruin probabilities for a risk model with variable interest rates | 2011-02-05 | Paper |
The exponential decay of a system of nonlinear wave equations
Applied Mathematics Letters | 2010-09-01 | Paper |
| Large deviations and finite-time ruin probabilities for perturbed risk models with variable premium rates | 2008-06-03 | Paper |
Ruin probabilities for discrete time risk models with stochastic rates of interest
Statistics & Probability Letters | 2008-04-28 | Paper |
Integration by Parts for Point Processes and Monte Carlo Estimation
Journal of Applied Probability | 2008-02-05 | Paper |
| Moderate deviations for negatively associated random sums of heavy tailed random variables | 2006-01-24 | Paper |
A Malliavin calculus approach to sensitivity analysis in insurance
Insurance Mathematics & Economics | 2005-08-05 | Paper |
| scientific article; zbMATH DE number 1445707 (Why is no real title available?) | 2002-09-03 | Paper |
